| 主讲人简介： | Rieger is Professor of Banking and Finance at the University of Trier, Germany, since 2010, and Director of the Confucius Institute of the University of Trier since 2018. Since 2019, he is core member of the research group "Quantitative Finance and Risk Analysis", and project leader of the research cluster "Globalization and Re-Nationalization," both financed by the research initiative of the state of Rheinland-Pfalz. Rieger studied mathematics at University of Konstanz from 1993 to 1998, and obtained a PhD at Max Planck Institute for Mathematics in the Sciences, Leipzig, in 2001, under the supervision of Prof. Stefan Müller. He worked as research scholar and postdoc at Carnegie Mellon University, Scuola Normale Superiore, University of Zürich and ETH Zürich. |
| 讲座简介： | This paper studies the relation between the signs of recent returns (an up-down pattern) and the net trading of individual investors. For our comprehensive dataset from the Taiwan Stock Exchange, we find that following positive days, individual investors sell more stocks than they buy – a negative buy-sell imbalance – while following negative days, their imbalance is positive. More recent signs have stronger impacts on imbalance. The subsequent performance of this trading behavior is poor, indicating individual investors in Taiwan make suboptimal decisions, and their trade is unlikely to be information-based. Thus, the liquidity provision explanation in the literature is not applicable to our sample, and our results suggest behavioral reasons. We illustrate with a simple theoretical model that overconfidence can offer a potential explanation. |
